Better late than never
I have been looking for a way to do this in Windows for months.
Here is an O'Reilly page that covers exactly what the original poster was asking for.
The directions on the O'Reilly page are quite good, but they are not fool proof. I had to futz with the settings to get it to work.
With the latest version of windows, the Wireless Network Properties window looks a bit different. If the two boxes are not greyed out at the bottom of figure 5, check your settings in that window. If you want to enable data encryption, then you want to turn off "The key is provided for me automatically" (at least, I think you do, I turned off encryption to get it working - it is not a huge deal since I live on a farm where there are no wardrivers).
In figure 7, if you do not even see the "Internet Connection Sharing" section of the advanced pane, check your other network adaptor settings and turn it off on those. I had internet connection sharing turned on - on my wireless card. Because of that, the sharing option was not available when I was setting the properties for my local area connection (ah, it looks at this a little bit differently than on the mac - always a matter of perspective).
Also, when I ran "ipconfig" from "run" at the Start menu, it opened the command line then closed it again. Bah. I suppose folks are "issuing the ipconfig command" somewhere besides start menu "run" prompt.
Side note:
I knew it was technically possible, since it is all just a matter of network hardware. I have done it on my Intel chip based Macs (ICBMs) for years, since the setting was drop dead simple in OS X:
http://docs.info.apple.com/article.html?path=Mac/10.5/en/8156.html
Network connections are not receiver or sender - a wireless card does not just receive signals, it also sends them. In order to use the internet,
every single network adaptor is a
transceiver.